Existence of Value in Stochastic Differential Games of Mixed Type

DOI10.1080/07362994.2012.704853zbMath1252.49062OpenAlexW2038941557MaRDI QIDQ4648516

Mrinal K. Ghosh, K. S. Mallikarjuna Rao

Publication date: 9 November 2012

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362994.2012.704853

zbMATH Keywords

viscosity solutionstopping timestochastic differential gamebilateral constraintsHamilton-Jacobi-Isaacs variational inequalities

Mathematics Subject Classification ID

Variational inequalities (49J40) Differential games and control (49N70) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

Related Items (1)

Nonzero-sum stochastic differential game between controller and stopper for jump diffusions

Cites Work

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• On the value of optimal stopping games
• Martingale approach to stochastic differential games of control and stopping
• Differential games of mixed type with control and stopping times
• A probabilistic approach to second order variational inequalities with bilateral constraints
• Variational Inequalities for Combined Control and Stopping Game
• Mixed Zero-Sum Stochastic Differential Game and American Game Options
• User’s guide to viscosity solutions of second order partial differential equations
• Variational Inequalities for Combined Control and Stopping

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